166 citations · 399 across the 24 of their papers we have counts for
30 papers
Bridging Schrödinger and Bass: A Semimartingale Optimal Transport Problem with Diffusion Control
Pierre Henry-Labordere, Grégoire Loeper, Othmane Mazhar +2
We study a semimartingale optimal transport problem interpolating between the Schrödinger bridge and the stretched Brownian motion associated with the Bass solution of the Skorokho…
A PDE Derivation of the Schrödinger--Bass Bridge
Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper +3
This short paper announces the main results of \cite{SBB2026}, where the Schrödinger--Bass Bridge (SBB) problem is introduced and studied in full generality. Here we provide a dire…
LightSBB-M: Bridging Schrödinger and Bass for Generative Diffusion Modeling
Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper +3
The Schrodinger Bridge and Bass (SBB) formulation, which jointly controls drift and volatility, is an established extension of the classical Schrodinger Bridge (SB). Building on th…
Generative modeling for time series via Schr{ö}dinger bridge
Mohamed Hamdouche, Pierre Henry-Labordere, Huyên Pham
We propose a novel generative model for time series based on Schr{ö}dinger bridge (SB) approach. This consists in the entropic interpolation via optimal transport between a referen…
Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing
Mohamed Hamdouche, Pierre Henry-Labordere, Huyen Pham
We develop policy gradients methods for stochastic control with exit time in a model-free setting. We propose two types of algorithms for learning either directly the optimal polic…
Pricing Bermudan options using regression trees/random forests
Zineb El Filali Ech-Chafiq, Pierre Henry-Labordere, Jérôme Lelong
The value of an American option is the maximized value of the discounted cash flows from the option. At each time step, one needs to compare the immediate exercise value with the c…